SAC investors begin to eye the door

The government investigation of Steve Cohen’s firm has reportedly prompted a well-known investor to put in a redemption request. Will more follow?

FORTUNE — Last week I wrote that investors were standing by their man Steve Cohen, despite the fact that government investigators and a prominent Congressman were probing his hedge fund firm, SAC Capital.

While there’s still no wave of redemptions, Institutional Investorbroke the news that an investor wants out of SAC because,“the government seems so intent now in getting [SAC] and there are additional SAC-related characters tainted,” the anonymous investor told the magazine.

The investor, whom the publication called “well known,” added that SAC has the best compliance in the industry. But that was not not enough to assuage his fears.

It’s important to remember that neither Steve Cohen nor SAC have been charged with any wrongdoing. Even so, politicians and regulators are turning up the heat under Cohen, the man that Reuters called the government’s Moby Dick, and who Senator Charles Grassley worries may foster a culture that encourages insider trading. The Financial Industry Regulatory Authority (FINRA) provided Senator Grassley’s office and the Securities and Exchange Commission with 20 instances when employees at SAC may have traded on inside information; and representatives from SAC met with Congressional representatives this month to discuss the investigation.

Similar insider trading investigations and allegations have sunk hedge funds run by Level Global Investors, Loch Capital Management, and FrontPoint Partners; but SAC has so far held up well, as Cohen and his top lieutenants have held meetings and conference calls with investors to discuss the probe. Representatives for the firm have reiterated time and again that it is fully cooperating with the government.

Also keeping many investors in the fund is the fact that the $14 billion firm is up about 8% through the end of April, and the firm has taken in about $1.5 billion over the last year, according to people familiar with the firm’s finances. Moreover, Cohen and his employees make up about half of the asset base, which helps keeps the base of capital stable.

Right now the limited partner who spoke with Institutional Investor is an outlier. But as one investment consultant pointed out to me, investor psychology can be herd-like. If a fund loses a series of investors, or an investor who is considered smart money, it can cause a stampede.